Please use this identifier to cite or link to this item: https://doi.org/10.1080/00036846.2012.687098
Title: Measuring asymmetry and persistence in conditional volatility in real output: Evidence from three East Asian tigers using a multivariate GARCH approach
Authors: Hai, V.T.
Tsui, A.K. 
Zhang, Z.
Keywords: asymmetric volatility
East Asian tigers
GARCH
persistence
real output
structural changes
Issue Date: Jul-2013
Source: Hai, V.T., Tsui, A.K., Zhang, Z. (2013-07). Measuring asymmetry and persistence in conditional volatility in real output: Evidence from three East Asian tigers using a multivariate GARCH approach. Applied Economics 45 (20) : 2909-2914. ScholarBank@NUS Repository. https://doi.org/10.1080/00036846.2012.687098
Abstract: We search for evidence of conditional volatility in the quarterly real Gross Domestic Product (GDP) growth rates of three East Asian tigers: Singapore, Hong Kong and Taiwan. The widely accepted Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH)-type model is used to capture the existence of asymmetric volatility and the potential structural break points in the volatility. We find evidence of asymmetry and persistence in the volatility of GDP growth rates. It is noted that the structural breakpoints of volatility correspond reasonably well to the historical economic and political events in these economies. Policy implications from our findings are discussed. © 2013 Copyright Taylor and Francis Group, LLC.
Source Title: Applied Economics
URI: http://scholarbank.nus.edu.sg/handle/10635/52089
ISSN: 00036846
DOI: 10.1080/00036846.2012.687098
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